Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0898
Annualized Std Dev 0.2959
Annualized Sharpe (Rf=0%) 0.3033

Row

Daily Return Statistics

Close
Observations 4567.0000
NAs 1.0000
Minimum -0.1592
Quartile 1 -0.0077
Median 0.0010
Arithmetic Mean 0.0005
Geometric Mean 0.0003
Quartile 3 0.0094
Maximum 0.2506
SE Mean 0.0003
LCL Mean (0.95) 0.0000
UCL Mean (0.95) 0.0011
Variance 0.0003
Stdev 0.0186
Skewness 0.2776
Kurtosis 14.3291

Downside Risk

Close
Semi Deviation 0.0133
Gain Deviation 0.0136
Loss Deviation 0.0142
Downside Deviation (MAR=210%) 0.0176
Downside Deviation (Rf=0%) 0.0131
Downside Deviation (0%) 0.0131
Maximum Drawdown 0.6502
Historical VaR (95%) -0.0277
Historical ES (95%) -0.0439
Modified VaR (95%) -0.0233
Modified ES (95%) -0.0233
From Trough To Depth Length To Trough Recovery
2007-11-01 2008-11-20 2021-01-14 -0.6502 3323 267 3056
2006-05-10 2006-06-13 2006-11-30 -0.2680 143 24 119
2007-07-24 2007-08-16 2007-09-18 -0.1946 40 18 22
2004-03-02 2004-05-17 2004-11-12 -0.1908 178 54 124
2002-12-03 2003-03-11 2003-05-30 -0.1885 100 56 44

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2002 NA NA NA NA NA NA NA NA NA NA 1.7 -3.9 -2.2
2003 0.4 -0.4 0.5 2.4 1.7 1.2 -10.1 1.5 2.4 -0.2 2.4 1.4 2.4
2004 0.4 2.9 1.1 -1.4 -0.7 -0.5 0.4 1.1 2.8 0.3 1.4 0.4 8.3
2005 0.8 -0.6 0.9 1.1 0.9 0.3 1.3 1.4 0.3 1.4 2.3 -0.3 10.3
2006 -0.2 2.7 0.3 0.8 2 0.6 -1.3 1.6 -0.2 -0.4 -0.8 -0.2 4.9
2007 1.4 -1.3 -0.9 0.4 2.3 -0.2 -1.6 3 3.8 -3.6 1.7 -0.8 4
2008 2.3 -3.9 4.2 1.1 0.7 -1.3 -1.3 0.9 -0.7 -0.9 -10.1 1.4 -8
2009 -0.7 -1 3.8 2 3.8 1.5 0.7 -2.1 -2.9 -4 2.7 0.2 3.6
2010 2.6 1.5 2.1 -0.9 -1.1 0.4 0.6 3.2 1.4 1 2.4 0.6 14.5
2011 2.2 -0.8 1.3 1 -1.5 1.2 0.4 0 -2.8 -2.4 0.6 0.6 -0.3
2012 2 1.3 0.6 0.6 -2.4 4.4 0.2 0.6 0.8 1.4 -0.2 1.3 10.9
2013 1 0.1 -0.8 -1.1 -1.9 0.2 1.4 -0.2 1.5 -0.1 1 0.5 1.4
2014 -1 -1 1.1 -0.1 -1.5 1 0 0.9 -2.5 1.4 -2.6 -0.1 -4.2
2015 -2.2 -0.1 1.1 0.4 0 -0.7 0.2 -3 0.1 0.8 1.1 -0.6 -2.9
2016 0 3.5 0.2 0.1 -0.3 0.4 0.3 0.5 0.3 -1.3 -2.8 -0.7 0
2017 0.3 1.2 -0.2 0.6 0.7 0.8 0.5 0.5 1.2 0.4 -0.6 0.5 6.3
2018 -1 -1.3 2.4 0.1 1.5 0.7 -1 0.8 0.1 3.1 0.3 -0.3 5.3
2019 0 0 1 0.4 -0.9 2 -2.1 0.7 -0.3 1.1 0.8 -0.5 2.1
2020 -2.2 -0.8 -3.8 -3.5 1.5 0.8 -1 2.4 0.7 -1.8 1.8 -0.8 -6.8
2021 3.6 2.4 0.7 NA NA NA NA NA NA NA NA NA 6.9

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 2002-11-13  12.2 SPY    89.0  0.001  -4.29e-2   0.0039  -0.0476   -0.223   -0.349       NA <NA>     NA    NA       NA
2 2002-11-14  12.5 SPY    90.7  0.0189 -3.00e-4   0.0483  -0.0267   -0.209   -0.341       NA <NA>     NA    NA       NA
3 2002-11-15  12.6 SPY    91.4  0.0074  1.95e-2   0.0355  -0.0419   -0.204   -0.340       NA <NA>     NA    NA       NA
4 2002-11-18  12.7 SPY    90.5 -0.0101  2.52e-2   0.0208  -0.0414   -0.209   -0.353       NA <NA>     NA    NA       NA
5 2002-11-19  12.5 SPY    90.4 -0.0013  1.57e-2   0.0021  -0.0563   -0.220   -0.355       NA <NA>     NA    NA       NA
6 2002-11-20  12.7 SPY    92.4  0.0222  3.73e-2   0.0318  -0.0446   -0.195   -0.346       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart